The Caspian Sea, the largest land–locked water body worldwide, has undergone water level changes much larger than that of the oceans and within decades only. In this paper, we review the Caspian Sea level observations since the beginning of instrumental measurements (AD 1880). We summarize and discuss different aspects of the Caspian Sea levels including a) history of sea level observations with a critical appraisal of their modes of measurements and data accuracy, b) long-term, seasonal and short-term sea level changes, c) forecast of sea level, and d) impact of sea level changes. The Caspian seasonal and short-term water level changes (sub-annual) occur due to river flooding, meteorological forcing, steric changes, tsunami and tidal effects, which range from a few centimetres in a half day (i.e. the tide) up to 4 m in 5–7 days during severe storm surges. Long-term water level changes (i.e. multiyear to multidecadal) are mainly attributed to water budget; two prominent elements of which are riverine influx and evaporation from the water surface. From the mid-twentieth century, water withdrawal for human activities is also incorporated in the Caspian Sea water budget. The long-term mean water level change ranged over 3 m during instrumental observations. It rose at a rate of 15 cm y−1 during the period of 1978–1995 and dropped at a rate of 8 cm y−1 since 1996. During sea level rise, coastal inundation happened leading to huge economic loss; however, it improved some coastal wetland ecosystem services. Current sea level fall causes wetland reduction and desiccation. The sea level falls of the 1960s and 1970s enhanced vertical mixing; however, during both last rise and fall of the water level, the Caspian marine environment had limited vertical circulation, leading to oxygen deficiency in deep areas. Adding to anthropogenic influence, global warming through changes in precipitation, evaporation and wind regime will have significant impact on the Caspian Sea level already at the end of the current century. Despite of the importance of the local, regional and global impacts of Caspian Sea level changes, forecasts still have great uncertainty and were not successful yet.